Despite demonstrating poorer physical health profiles, African Americans experience similar or more favorable mental health than whites, an unexpected pattern given their relatively disadvantaged social status. Given higher levels of religious involvement, a predominant attribution for the black–white paradox in mental health is differential religious involvement (stronger levels of religiosity ... [Show full abstract] among African Americans) but little research explicitly tests this assumption. Differential religious importance may also explain the mental health paradox, given past findings that religion is a stronger aspect in the lives of African Americans relative to whites. Using data from the National Survey of American Life, I investigate the black–white mental health paradox in depressive symptoms across three dimensions (spanning 18 measures) of religious involvement–organizational religious involvement, non-organizational religious involvement, and church-based social support. Specifically, I test whether black–white differences in either religious involvement or the importance of religiosity can explain mental health advantage of African Americans. Despite remarkably higher levels of religious involvement among African Americans relative to whites, these differences do not explain the mental health paradox. There was also no evidence supporting the differential impact of religious involvement argument. Future research should explore both positive and negative coping, in addition to the role of intersectionality when studying this unexpected trend.